125,273 research outputs found
Dynamic large financial networks via conditional expected shortfalls
No full textIn this article, we first generalize the Conditional Auto-Regressive Expected Shortfall (CARES) model by introducing the loss exceedances of all (other) listed companies in the Expected Shortfall related to each firm, thus proposing the CARES-X model (where the ‘X’, as usual, stands for eXtended in the case of large-dimensional problems). Second, we construct a regularized network of US financial companies by introducing the Least Absolute Shrinkage and Selection Operator in the estimation step. Third, we also propose a calibration approach for uncovering the relevant edges between the network nodes, finding that the estimated network structure dynamically evolves through different market risk regimes. We ultimately show that knowledge of the extreme risk network links provides useful information, since the intensity of these links has strong implications on portfolio risk. Indeed, it allows us to design effective risk management mitigation allocation strategies
Going Beyond Counting First Authors in Author Co-citation Analysis
No full textThe present study examines one of the fundamental aspects of author co-citation analysis (ACA) - the way co-citation
counts are defined. Co-citation counting provides the data on which all subsequent statistical analyses and mappings
are based, and we compare ACA results based on two different types of co-citation counting - the traditional type that
only counts the first one among a cited work's authors on the one hand and a non-traditional type that takes into
account the first 5 authors of a cited work on the other hand. Results indicate that the picture produced through this non-traditional author co-citation counting contains more coherent author groups and is therefore considerably clearer. However, this picture represents fewer specialties in the research field being studied than that produced through the traditional first-author co-citation counting when the same number of top-ranked authors is selected and analyzed. Reasons for these effects are discussed
Bayesian dynamic quantile model averaging
No full textThis article introduces a novel dynamic framework to Bayesian model averaging for time-varying parameter quantile regressions. By employing sequential Markov chain Monte Carlo, we combine empirical estimates derived from dynamically chosen quantile regressions, thereby facilitating a comprehensive understanding of the quantile model instabilities. The effectiveness of our methodology is initially validated through the examination of simulated datasets and, subsequently, by two applications to the US inflation rates and to the US real estate market. Our empirical findings suggest that a more intricate and nuanced analysis is needed when examining different sub-period regimes, since the determinants of inflation and real estate prices are clearly shown to be time-varying. In conclusion, we suggest that our proposed approach could offer valuable insights to aid decision making in a rapidly changing environmen
Dispelling the Myths Behind First-author Citation Counts
No full textWe conducted a full-scale evaluative citation analysis study of scholars in the XML research field to explore just how different from each other author rankings resulting from different citation counting methods actually are, and to demonstrate the capability of emerging data and tools on the Web in supporting more realistic citation counting methods. Our results contest some common arguments for the continued
use of first-author citation counts in the evaluation of scholars, such as high correlations between author rankings by first-author citation counts and other citation
counting methods, and high costs of using more realistic citation counting methods that are not well-supported by the ISI databases. It is argued that increasingly available digital full text research papers make it possible for citation analysis studies to go beyond what the ISI databases have directly supported and to employ more
sophisticated methods
A meta-measure of performance related to both investors and investments characteristics
No full textWe introduce hereafter a new flexible meta-measurement of portfolio performance, called the Generalized Utility-based N-moment measure, relying both on a characterization of the whole return distribution and on the set of preferences of the investor, which is adapted to analyze the performance of hedge funds. It could also serve as the basis of a Fraudulent Behavior Index aiming to detect fraudulent funds
Lettre de Louis Phélypeaux de Pontchartrain (secrétaire d'Etat de la Marine et de la Maison du roi) à Benoît de Maillet (consul de France au Caire) datée du 30 juillet 1698
No full textLettre de Louis Phélypeaux de Pontchartrain (secrétaire d'Etat de la Marine et de la Maison du roi) à Benoît de Maillet (consul de France au Caire) datée du 30 juillet 1698. In: Correspondance administrative sous le règne de Louis XIV, recueillie et mise en ordre par G. B. Depping. Tome IV et dernier. Travaux publics – Affaires religieuses – Protestants – Sciences, lettres et arts – Pièces diverses. Paris : Imprimerie nationale, 1855. pp. 181-182
Lettre de Jérôme Phélypeaux de Pontchartrain (secrétaire d'Etat de la Marine et de la Maison du roi) à Benoît de Maillet (ambassadeur auprès de l'empereur d'Abyssinie) datée du 07 février 1703
No full textLettre de Jérôme Phélypeaux de Pontchartrain (secrétaire d'Etat de la Marine et de la Maison du roi) à Benoît de Maillet (ambassadeur auprès de l'empereur d'Abyssinie) datée du 07 février 1703. In: Correspondance administrative sous le règne de Louis XIV, recueillie et mise en ordre par G. B. Depping. Tome IV et dernier. Travaux publics – Affaires religieuses – Protestants – Sciences, lettres et arts – Pièces diverses. Paris : Imprimerie nationale, 1855. p. 185
Lettre de Jérôme Phélypeaux de Pontchartrain (secrétaire d'Etat de la Marine et de la Maison du roi) à Benoît de Maillet (ambassadeur auprès de l'empereur d'Abyssinie) datée du 29 novembre 1702
No full textLettre de Jérôme Phélypeaux de Pontchartrain (secrétaire d'Etat de la Marine et de la Maison du roi) à Benoît de Maillet (ambassadeur auprès de l'empereur d'Abyssinie) datée du 29 novembre 1702. In: Correspondance administrative sous le règne de Louis XIV, recueillie et mise en ordre par G. B. Depping. Tome IV et dernier. Travaux publics – Affaires religieuses – Protestants – Sciences, lettres et arts – Pièces diverses. Paris : Imprimerie nationale, 1855. pp. 184-185
Lettre de Jérôme Phélypeaux de Pontchartrain (secrétaire d'Etat de la Marine et de la Maison du roi) à Benoît de Maillet (consul de France au Caire) datée du 22 juin 1701
No full textLettre de Jérôme Phélypeaux de Pontchartrain (secrétaire d'Etat de la Marine et de la Maison du roi) à Benoît de Maillet (consul de France au Caire) datée du 22 juin 1701. In: Correspondance administrative sous le règne de Louis XIV, recueillie et mise en ordre par G. B. Depping. Tome IV et dernier. Travaux publics – Affaires religieuses – Protestants – Sciences, lettres et arts – Pièces diverses. Paris : Imprimerie nationale, 1855. p. 183
Systemic risk and severe economic downturns: A targeted and sparse analysis
No full textRecent studies indicate that systemic risk has predictive power over severe economic downturns. We propose a novel methodology that employs sparsity and targeting approaches to optimally select and combine systemic risk measures to forecast the tail of a given economic variable. Out-of-sample analysis shows that the optimal combination of systemic risk metrics may vary over time, forecasting horizons and economic proxies. Moreover, a few systemic risk measures contain all the important information for capturing the relation between systemic risk and real economy; therefore, a fixed and static combination approach may not be optimal, and the flexible parsimonious extension we introduce leads to improvement in forecasting performance
- …
